Метода за одабир одговарајућих периода улагања за остваривање профита од арбитраже и објашњење појма “Stock Returns“
Sažetak
Овај рад представља теоријске и експерименталне доказе који оправдавају потребу обраћања пажње на хоризонт улагања. Због тога се за одабир одговарајућег хоризонта улагања користи критеријум под називом „Хоризонт најсигурнијег улагања“ (СИХ). Да би се израчунала ова количина, израчунава се коефицијент који се назива 'најсигурнији однос улагања' (СИР) и разматра се однос између ових критеријума и могућности арбитраже, заједно са методама за остваривање профита од арбитраже кроз одабир одговарајућег временског хоризонта. Након тога, применом ове методе за податке из стварног живота, потврђује се присуство могућности арбитраже у различитим временским хоризонтима. Надаље, описани су ефекти временског хоризонта на оптималну композицију портфеља. Коначно, показано је да ови критеријуми надмашују неке од конвенционалних варијабли у ЦАПМ, моделима са 3 фактора и 5 фактора за објашњење приноса акција и коришћење СИХ или СИР као нове варијабле повећава снагу објашњења ових модела.
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